Inference for calendar effects in microstructure noise

DOI10.1111/JTSA.12744MaRDI QIDQ6636848

Zhiyuan Zhang, Yingwen Tan

Publication date: 12 November 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

high-frequency datavolatilitysemimartingalemicrostructure noisecalendar effect

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

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• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
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• When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
• Statistical Properties of Microstructure Noise
• A ReMeDI for Microstructure Noise
• Time-Varying Periodicity in Intraday Volatility
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• A Tale of Two Time Scales
• Functional Variance Processes

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